Module: tf_quant_finance.math.optimizer

Module: tf_quant_finance.math.optimizer#

Optimization methods.

class ConjugateGradientParams: Adjustable parameters of conjugate gradient algorithm.

bfgs_minimize(...): Applies the BFGS algorithm to minimize a differentiable function.

conjugate_gradient_minimize(...): Minimizes a differentiable function.

converged_all(...): Condition to stop when all batch members have converged or failed.

converged_any(...): Condition to stop when any batch member converges, or all have failed.

differential_evolution_minimize(...): Applies the Differential evolution algorithm to minimize a function.

differential_evolution_one_step(...): Performs one step of the differential evolution algorithm.

lbfgs_minimize(...): Applies the L-BFGS algorithm to minimize a differentiable function.

nelder_mead_minimize(...): Minimum of the objective function using the Nelder Mead simplex algorithm.

nelder_mead_one_step(...): A single iteration of the Nelder Mead algorithm.